Asymptotics for the first passage times of Lévy processes and random walks

DOI10.1239/JAP/1363784425MaRDI QIDQ4918563zbMATH OpenOpenAlexFDO

Authors Denis E. Denisov, V. Shneer

Publication date 25 April 2013

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0712.0728, https://projecteuclid.org/euclid.jap/1363784425

zbMATH Keywords

busy periodfirst passage timelarge deviationLévy processrandom walksingle-server queuesubexponential distribution

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Processes with independent increments; Lévy processes (60G51) Queueing theory (aspects of probability theory) (60K25)

Abstract: We study the exact asymptotics for the distribution of the first time $a{u}_x$ a L'evy process $X_t$ crosses a negative level $-x$. We prove that $mathbfP(a{u}_x>t)simV(x)mathbfP(X_{t}ge0)/t$ as $toinfty$ for a certain function $V(x)$. Using known results for the large deviations of random walks we obtain asymptotics for $mathbfP(a{u}_x>t)$ explicitly in both light and heavy tailed cases. We also apply our results to find asymptotics for the distribution of the busy period in an M/G/1 queue.

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Cited in

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